GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

The slope coefficient estimator in predictive regressions for stock returns is biased by a lagged stochastic regressor. There is also a spurious regression if the underlying expected return is highly persistent. This paper studies how the interactions between the two biases affect inferences...

Many studies have found that large negative returns tend to occur together. This paper develops a correlation measure focusing on tails using the expected shortfall, referred to as the expected shortfall-implied correlation. The new correlation measure provides closer estimates to the true...

In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...

Using daily and monthly MSCI index returns of Association of Southeast Asian Nations (ASEAN) markets for the period 2007 and 2021, this study aims to examine if there are any advantages to diversification in ASEAN markets for Vietnamese investors and if those perks have altered between pre and...

Starting in September 2008, market regulators from stock markets across the world have introduced, at different points in time and for different periods of length, a ban on short-selling financial institution's shares. The argument for the bans is that short-selling increases the volatility and...

This paper proposes a framework to gauge the degree of volatility transmission among international stock markets by deriving tests for conditional independence among daily volatility measures. We suppose that asset prices follow a multivariate jump-diffusion process, and make no parametric...

How common and how persistent are turbulent periods? We address these questions by developing and applying a dynamic dependence framework. In order to answer the first question we estimate an unconditional mixture model of normal copulas, based on both economic and econometric justification. In...

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented,...